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<div class="title">LevySolverAdaptor.py</div>  </div>
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<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">#!/usr/bin/python</span>
<a name="l00002"></a>00002 <span class="comment"># -*- coding: utf-8 -*-</span>
<a name="l00003"></a>00003 
<a name="l00004"></a>00004 <span class="comment"># Copyright (c) 2011</span>
<a name="l00005"></a>00005 <span class="comment">#</span>
<a name="l00006"></a>00006 <span class="comment"># Permission is hereby granted, free of charge, to any person obtaining a</span>
<a name="l00007"></a>00007 <span class="comment"># copy of this software and associated documentation files (the &quot;Software&quot;),</span>
<a name="l00008"></a>00008 <span class="comment"># to deal in the Software without restriction, including without limitation</span>
<a name="l00009"></a>00009 <span class="comment"># the rights to use, copy, modify, merge, publish, distribute, sublicense,</span>
<a name="l00010"></a>00010 <span class="comment"># and/or sell copies of the Software, and to permit persons to whom the</span>
<a name="l00011"></a>00011 <span class="comment"># Software is furnished to do so, subject to the following conditions:</span>
<a name="l00012"></a>00012 <span class="comment">#</span>
<a name="l00013"></a>00013 <span class="comment"># The above copyright notice and this permission notice shall be included in</span>
<a name="l00014"></a>00014 <span class="comment"># all copies or substantial portions of the Software.</span>
<a name="l00015"></a>00015 <span class="comment">#</span>
<a name="l00016"></a>00016 <span class="comment"># THE SOFTWARE IS PROVIDED &quot;AS IS&quot;, WITHOUT WARRANTY OF ANY KIND, EXPRESS OR</span>
<a name="l00017"></a>00017 <span class="comment"># IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,</span>
<a name="l00018"></a>00018 <span class="comment"># FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE</span>
<a name="l00019"></a>00019 <span class="comment"># AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER</span>
<a name="l00020"></a>00020 <span class="comment"># LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,</span>
<a name="l00021"></a>00021 <span class="comment"># OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE</span>
<a name="l00022"></a>00022 <span class="comment"># SOFTWARE.</span>
<a name="l00023"></a>00023 <span class="comment">#</span>
<a name="l00024"></a>00024 <span class="comment"># Author: Jesus Carrero &lt;j.o.carrero@gmail.com&gt;</span>
<a name="l00025"></a>00025 <span class="comment"># Mountain View, CA</span>
<a name="l00026"></a>00026 <span class="comment">#</span>
<a name="l00027"></a>00027 
<a name="l00028"></a>00028 <span class="stringliteral">&quot;&quot;&quot; This class scale real world parameters to dimension less form</span>
<a name="l00029"></a>00029 <span class="stringliteral">    and call the partial-integro differential engine to solve the</span>
<a name="l00030"></a>00030 <span class="stringliteral">    resulting equation.&quot;&quot;</span>
<a name="l00031"></a>00031 <span class="stringliteral">&quot;&quot;&quot;</span>
<a name="l00032"></a>00032 
<a name="l00033"></a>00033 <span class="keyword">from</span> DynamicSolverBase <span class="keyword">import</span> DynamicSolverBase
<a name="l00034"></a>00034 
<a name="l00035"></a>00035 
<a name="l00036"></a><a class="code" href="classmodels_1_1LevySolverAdaptor_1_1LevySolverAdaptor.html">00036</a> <span class="keyword">class </span><a class="code" href="classmodels_1_1LevySolverAdaptor_1_1LevySolverAdaptor.html">LevySolverAdaptor</a>(DynamicSolverBase):
<a name="l00037"></a>00037 
<a name="l00038"></a>00038     <span class="stringliteral">&quot;&quot;&quot;</span>
<a name="l00039"></a>00039 <span class="stringliteral">    The base class solve the problem.</span>
<a name="l00040"></a>00040 <span class="stringliteral"></span>
<a name="l00041"></a>00041 <span class="stringliteral">        :math:`\partial{u}{dt}= -c\nabla{u} + d\grad{u} + (r-\lambda)u +</span>
<a name="l00042"></a>00042 <span class="stringliteral">              \lambda conv(k, u)`</span>
<a name="l00043"></a>00043 <span class="stringliteral"></span>
<a name="l00044"></a>00044 <span class="stringliteral">    After introducing the change of parmeters: t = T-\tau, x = ln(u).</span>
<a name="l00045"></a>00045 <span class="stringliteral">    The real world paramters transform to:</span>
<a name="l00046"></a>00046 <span class="stringliteral"></span>
<a name="l00047"></a>00047 <span class="stringliteral">    convection = sigma^2/2.</span>
<a name="l00048"></a>00048 <span class="stringliteral">    diffusion = (interest rate -\lambda * Exp(\eta-1))</span>
<a name="l00049"></a>00049 <span class="stringliteral">    reaction = interest rate.</span>
<a name="l00050"></a>00050 <span class="stringliteral"></span>
<a name="l00051"></a>00051 <span class="stringliteral">    \eta is a random variable following whose density function is given</span>
<a name="l00052"></a>00052 <span class="stringliteral">         by the kernel &#39;k&#39;</span>
<a name="l00053"></a>00053 <span class="stringliteral">    &quot;&quot;&quot;</span>
<a name="l00054"></a>00054 
<a name="l00055"></a>00055 
<a name="l00056"></a>00056     __slots__ = [<span class="stringliteral">&#39;m_spot&#39;</span>, <span class="stringliteral">&#39;m_strike&#39;</span>, <span class="stringliteral">&#39;m_smin&#39;</span>, <span class="stringliteral">&#39;m_smax&#39;</span>, <span class="stringliteral">&#39;m_ir&#39;</span>, <span class="stringliteral">&#39;m_sigma&#39;</span>]
<a name="l00057"></a>00057 
<a name="l00058"></a>00058 
<a name="l00059"></a><a class="code" href="classmodels_1_1LevySolverAdaptor_1_1LevySolverAdaptor.html#a5d94af28a066131b58a8d4a0cf25c878">00059</a>     <span class="keyword">def </span><a class="code" href="classmodels_1_1LevySolverAdaptor_1_1LevySolverAdaptor.html#a5d94af28a066131b58a8d4a0cf25c878">__init__</a>(self, op_attrib, sim_attrib):
<a name="l00060"></a>00060         <span class="stringliteral">&quot;&quot;&quot;</span>
<a name="l00061"></a>00061 <span class="stringliteral">        Instantiate the object using information on the contract and</span>
<a name="l00062"></a>00062 <span class="stringliteral">        information on the numerical discretization.</span>
<a name="l00063"></a>00063 <span class="stringliteral">        op_atrrib = dict with the following fields</span>
<a name="l00064"></a>00064 <span class="stringliteral">                    time2maturity, spot price, strike price.</span>
<a name="l00065"></a>00065 <span class="stringliteral">        sim_atrrib = num time steps, num segmentes in x direction.</span>
<a name="l00066"></a>00066 <span class="stringliteral">                     simulation range smin and smax (optional)</span>
<a name="l00067"></a>00067 <span class="stringliteral"></span>
<a name="l00068"></a>00068 <span class="stringliteral">        &quot;&quot;&quot;</span>
<a name="l00069"></a>00069 
<a name="l00070"></a>00070         <span class="keywordflow">if</span> <span class="keywordflow">not</span> isinstance(op_attrib, dict):
<a name="l00071"></a>00071             <span class="keywordflow">raise</span> ValueError, <span class="stringliteral">&#39;op_attrib must be a dictionary&#39;</span>
<a name="l00072"></a>00072 
<a name="l00073"></a>00073         <span class="keywordflow">if</span> <span class="keywordflow">not</span> isinstance(sim_attrib, dict):
<a name="l00074"></a>00074             <span class="keywordflow">raise</span> ValueError, <span class="stringliteral">&#39;sim_attrib must be a dictionary&#39;</span>
<a name="l00075"></a>00075 
<a name="l00076"></a>00076         self.__decode_parameters(op_attrib, sim_atrrib)
<a name="l00077"></a>00077 
<a name="l00078"></a>00078         (left_point, right_point) = (log(self.m_smin / self.m_strike),
<a name="l00079"></a>00079                 log(self.m_smax / self.m_strike))
<a name="l00080"></a>00080         PIDESolver.__init__(self, nsegs, left_point, right_point)
<a name="l00081"></a>00081         (self.m_sigma, self.m_ir) = (<span class="keywordtype">None</span>, <span class="keywordtype">None</span>)
<a name="l00082"></a>00082 
<a name="l00083"></a>00083 
</pre></div></div>
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